Aims: We aimed to investigate whether or not a diagnosis of schizophrenia increases the risk of a substance abuse diagnosis. Design: Prospective cohort study using a longitudinal study design. Setting and participants: Individuals born in Denmark from 1955 to 1999 and registered in the Danish registers between 1 January 1968 and 1 July 2013. Measurements: We investigated the associations between schizophrenia and ICD diagnoses of substance abuse, both established through various Danish registers. The Cox regression model was used and adjusted for calendar year, gender, urbanicity, co-abuse, other psychiatric diagnoses, parents' substance abuse and psychiatric history, parents' immigration and parents' socio-economic position. Individuals diagnosed with substance abuse less than a year after diagnosis of schizophrenia were classified as not diagnosed with schizophrenia. Findings: The cohort consisted of 3 133 968 individuals. During follow-up (103 212 328 person-years at risk), a total of 14 007 individuals developed schizophrenia, with 2885 subsequently diagnosed with substance abuse. A diagnosis of schizophrenia was positively associated with the risk of developing substance abuse [hazard ratio (HR) = 3.69, 95% confidence interval (CI) = 3.56–3.83]. Additionally, adjusting for a co-abuse markedly affected the associations, making schizophrenia primarily associated with an increased risk of abuse of cannabis, alcohol, stimulants and other substances (adjusted HR = 2.48, 95% CI = 2.34–2.64 for cannabis; HR = 1.94, 95% CI = 1.87–2.02 for alcohol; HR = 1.77, 95% CI = 1.61–1.95 for stimulants; HR = 1.36, 95% CI = 1.20–1.54 for other substances). The association was still significant 10–15 years subsequent a diagnosis of schizophrenia (HR = 2.50, 95% CI = 2.26–2.76). Conclusions: In Denmark a diagnosis of schizophrenia is significantly associated with increased risk of subsequent diagnosis of substance abuse.